Y

282.0633
365.8608
113.2439
269.0389
180.0625
243.818
198.4387
167.69
190.2684
160.7245

Sorted Y F
113.2439
160.7245
167.69
180.0625
190.2684
198.4387
243.818
269.0389
282.0633
365.8608

0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

Sample mean=
Sample std dev=

217.1209
73.49004

Specified mean:
Specified Std Dev:
Implied alpha=
Implied u=

200
75
0.017093
166.2441

ln F
-2.302585
-1.609438
-1.203973
-0.916291
-0.693147
-0.510826
-0.356675
-0.223144
-0.105361
0

"-ln(-ln F)"
-0.834032
-0.475885
-0.185627
0.087422
0.366513
0.671727
1.03093
1.49994
2.250367

Predicted F
0.032107
0.222681
0.264435
0.342345
0.407744
0.459349
0.702932
0.796899
0.834531
0.958935

Matching moments:
alpha=
0.017445
u=
184.0447

Sum of errors sq.=

(2) Press the F9 key and ten

random observations will
appear in the "Y" column,
and sorted in ascending
order in the "Sorted Y"
column above.

-ln(-ln f)

f(x) = 0.0175425408x - 3.0287822536

1
observed
Linear (observed)

0.5
0
100 120 140 160 180 200 220 240 260 280 300
-0.5
-1
Y

predicted F
0.058693

(3)The Sample mean and

standard deviation of Y
are then used to estimate
the values of the Gumbel
parameters alpha & u.
The values of the CDF
using these parameters
then appears in the
"Predicted F" column.
(4) A scatter plot of the
linearized CDF curve
is shown, together with
the line which best fits
the data. The slope of
this line is an estimate
of alpha, and the intercept
estimates (-alpha*u)

Based upon line fit:

slope
intercept
F=
0.017543 -3.028782
which implies
alpha=
0.017543
u=
172.6536
Y
113.2439

0.043998

(1) Enter in cells C18 & C19 the mean and std deviation to be
used in generating random observations. The Gumbel
parameters "alpha" & u which correspond to these values
will be computed and displayed immediately below.

2.5

1.5

Error
0.067893
-0.022681
0.035565
0.057655
0.092256
0.140651
-0.002932
0.003101
0.065469
0.041065

Error
0.0413072

(5) Using the alpha & u obtained from the line

fit, we compute F(Y) for each observed Y, and

160.7245
167.69
180.0625
190.2684
198.4387
243.818
269.0389
282.0633
365.8608

0.291483
0.335888
0.415563
0.479901
0.529332
0.75054
0.831633
0.863548
0.966832

-0.0914834
-0.0358884
-0.0155632
0.0200985
0.070668
-0.05054
-0.0316331
0.0364522
0.0331682

sum of errors sq. =

compared to
sum of errors sq. =

sum the squares of the errors.

(6) Which method of estimating u & alpha giv

the better fit to the observed data?
(Press the F9 key several times to compare t
two methods on several sets of randomly-gen
data.)

0.0230 by using results of linear regression regression

0.0440 which was obtained using results of "method of momen

Note: Still other estimates of the Gumbel parameters may be found by Maximum Likelihood:
This requires an equation solver to find the solution of the nonlinear equation

x i
x
exp
i 1 i
x
n
x i
exp
i 1
n

where "xbar" is the sample standard mean,

and then from the equation

1 n
x
ln exp i

n i 1
Once you have these Maximum Likelihood Estimates of the mean and standard deviation,
the parameters and u may be computed from

1.282

& u Y

0.577

d deviation to be

hese values

(2) Press the F9 key and ten

random observations will
appear in the "Y" column,
and sorted in ascending
order in the "Sorted Y"
column above.
(3)The Sample mean and
standard deviation of Y
are then used to estimate
the values of the Gumbel
parameters alpha & u.
The values of the CDF
using these parameters
then appears in the
"Predicted F" column.
(4) A scatter plot of the
linearized CDF curve
is shown, together with
the line which best fits
the data. The slope of
this line is an estimate
of alpha, and the intercept
estimates (-alpha*u)

the alpha & u obtained from the linear

mpute F(Y) for each observed Y, and

quares of the errors.

method of estimating u & alpha gives

fit to the observed data?
e F9 key several times to compare the
ods on several sets of randomly-generated

near regression regression

using results of "method of moments"

m Likelihood:

ard deviation,